‘If I had a penny for every time I’ve been asked if I’m going to work in America,’ sighs Katherine Kelly when I ask her if she’s going to work in America. ‘It must be the bog standard question for actors these days.’

Maybe. But it’s not an unreasonable line of enquiry since she’s just appeared in TV show Mr Selfridge with American actor Jeremy Piven – star of hit US series Entourage. ‘I’ve got a green card so I can work there any time,’ says Kelly, 33, ‘but I hate reading about actors going to America because it’s not like that any more. I know lots of people who work in the US but don’t live there.’

Given Piven swapped Hollywood for six months making Mr Selfridge in a converted carpet warehouse in Neasden, north-west London, perhaps LA isn’t all it’s cracked up to be anyway…

The series, which left our screens last week, sees Kelly playing Lady Mae – a big-hatted socialite who secures the financing for Mr Selfridge, played by Piven, to open his department store on Oxford Street. It occupies the Sunday-night slot vacated by Downton Abbey and is a similar cozy, flouncing-about-in-the-olden-days drama which punctuates the TV schedule, letting the viewer know that the weekend stops here.

What is the appeal of period pieces, I ask. ‘It’s never gone away, has it?’ she replies. ‘We had loads of Jane Austens; Bleak House wasn’t long ago. There are so many.’

Mr Selfridge isn’t an adaptation of a literary classic, though. It’s a Sunday night soap, a workplace ensemble piece, a bit like 1970s sitcom Are You Being Served? but played straight and set in 1908.

It has proved a hit and Kelly has already signed up for a second series, which promises to explore hat-loving Lady Mae’s backstory in more detail. Where did her need to own the biggest hat in the room originate? Judging from the episode in which Lady Mae practically went cross-eyed and her head spun round when an underling suggested she pop down to Soho, we’re guessing there might be some unsavoury skeletons in her wardrobe.

Lady Mae may have climbed the rockface of the turn-of-the-20th-century class system but Kelly’s proven equally adaptable: from Barnsley, her father is a former miner and yet she found herself rubbing shoulders with the royals at Zara Phillip’s wedding to Mike Tindall in 2011.

Katherine Kelly played loudmouth Becky McDonald in Coronation Street for five years (Picture: ITV)

She came to fame playing ‘rough diamond’ Becky McDonald in Coronation Street for five years and her first role after leaving the soap was as a toff slumming it as a barmaid to woo another toff in the National Theatre’s production of 18th-century comedy She Stoops To Conquer.

‘We’re quite fascinated by class in this country,’ says Kelly. ‘I remember trying to explain the class system to a Canadian friend when we started at RADA,’ she says. ‘The funniest thing was when I told her what bonfire night is all about. It’s quite dark, when you start breaking it down…’

Kelly won her place at RADA when she was 18 and, unlike some other alumni, she hasn’t swapped her original accent for a plummy RP voice. ‘I’d never had a drama lesson, I’d never heard of Stanislavski – I hadn’t done a lot of things people in my class who’d been to university had done,’ she explains. ‘But I absorbed everything like a sponge. I’m a typical Yorkshire lass – you just dig in and get on with it.’

Kelly grew up in the theatre. Her parents met through amateur dramatics and Kelly’s earliest memories are of running up and down theatre aisles. ‘I was hooked from an early age,’ she says.

Her parents set up the Lamproom Theatre in Barnsley in 1998, an achievement Kelly is proud of. ‘When they set up the youth theatre a few years later, 250 kids turned up,’ she says. ‘Being part of something like that changes your life. It’s great for children to have a life outside school and it’s important they mix with a wide range of people. I mixed with adults, some of whom were very talented, which might be why I wasn’t intimated by RADA.’

Three years after graduating, she won the lead role in the Royal Shakespeare Company’s production of Tamar’s Revenge. ‘That was a big milestone,’ she says. ‘Everything’s gone great for me since leaving drama school. It’s been one interesting role after another.’

Her next role is as a witch in a pilot for a Sky TV drama in which she stars with veteran actress and fellow former Corrie star, Anne Reid. Then it’s back to Neasden to delve into Lady Mae’s chequered past.

So if a trip to the US isn’t on her to-do list, what else is on the menu? ‘I’m not a fantasist,’ she says. ‘Even as a teenager I didn’t have posters of pop stars on my bedroom wall. I take things one year at a time, which is what I did with Coronation Street. I signed on for a one-year contract each time. I don’t think: ‘Wouldn’t this or that job be amazing?’ because, unless the offer’s on the table, what’s the point?’